Jul 10, 2010

Volatility Around The World

After a short trading week, S&P was up every day, gaining over 5%. Volatility indexes around the world lost 18%, or 5 volatility points. The biggest loser was VFTSE down 7.7 points, while FTSE was up 6%.

VIX index lost 5 points, distant month VIX futures losing 2.6 points. My forecasting model predicts further decline in the VIX over the next few months, however I'm still surprised as to how volatile the back-month futures can be.

There was a technical problem with VXJ update, so the value is the same as last week.

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